Report NEP-ETS-2007-12-01

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The following items were anounced in this report:

• Loriano Mancini & Fabio Trojani, 2005. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute, revised Oct 2007. [Downloadable!]
• Dominique Guegan & Zhiping Lu, 2007. "A note on self-similarity for discrete time series," Pre- and Post-Print documents halshs-00187910_v1, HAL. [Downloadable!]
• Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Pre- and Post-Print documents halshs-00188264_v1, HAL. [Downloadable!]
• Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
• D.S.G. Pollock, 2007. "Investigating Economic Trends And Cycles," Discussion Papers in Economics 07/17, Department of Economics, University of Leicester, revised Apr 2008. [Downloadable!]
• Dominique Guégan, 2007. "Global and local stationary modelling in finance : theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne b07053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
• Dominique Guégan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Documents de travail du Centre d'Economie de la Sorbonne b07056, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
• Dominique Guégan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne b07057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
• Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2007. "Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability," Working Papers Series 151, Central Bank of Brazil, Research Department. [Downloadable!]
• Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics. [Downloadable!]
• Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]

This page was last updated on 2008-7-20.